THE CITY OF NEW YORKOFFICE OF THE COMPTROLLER

December 11, 2017

COMMON INVESTMENT MEETINGPublic Session

PERFORMANCE REPORTINGThird Quarter 2017

Asset Class IndexThird

Quarter 2017Fiscal Year

End 6/30/17 3 Year 5 Year Expected*

Equities - U.S. Russell 3000 4.6% 18.5% 10.7% 14.2% 7.8%Equities - Developed Intl MSCI EAFE 5.4% 20.3% 5.0% 8.4% 8.9%Equities - Emerging Intl MSCI EMF 7.9% 23.8% 4.9% 4.0% 11.0%Debt - US Govt Long Duration Citigroup Treasury 10+ 0.6% -7.4% 4.9% 2.9%Debt - US Government NYC Treas/Agency +5 0.5% -4.6% 3.5% 1.9% 2.8%Debt - Investment Grade NYC IG Credit 1.2% 1.9% 3.8% 3.2% 3.4%Debt - High Yield Citigroup BB & B 2.0% 11.5% 5.3% 5.8% 6.1%

3

Market Returns: Q3-2017

Source: State Street

*Average of consultant long-term arithmetic expected returns, as of 2016

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

• The drivers of continued strong market returns include:1) Strong equity earnings growth

4

Market Returns: Q3-2017

2Q 2017 1Q 2017

Russell 3000 10.6 9.18

MSCI EAFE 12.51 8.55

MSCI EMF 7.81 7.81

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

2) Combination of low inflation, low yields and global quantitative easing

5

Market Returns: Q3-2017

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset ManagementFor Investment Evaluation Purposes by Authorized Personnel Only – May Contain Material Non-Public Information

US Europe Japan

Inflation: Q2 1.4% 1.3% 0.4% Q3 1.7% 1.5% 0.7%30 Year Yields: Q2 2.84 1.24* 0.85 Q3 2.86 1.29* 0.86QE: Q2 0 €180B ($200B) ¥16.8T ($146B) Q3 0 €180B ($200B) ¥13.3T ($125B)

*German yieldsUS QE – reinvestment only, both Q2 and Q3

• Aggregate Global Quantitative Easing

6

Market Returns: Q3-2017

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

3) Geopolitical concerns, but limited impact on economic growth and in financial markets

- North Korea, continued concerns.- German election – 9/24, Merkel re-elected, AfD influence.- China economic and political concerns – 19th Party Congress

concluded with President Xi with unprecedented control.Deleveraging continues.

- Washington DC/Trump/Republicans – tax plan negotiations ongoing.- Brexit – negotiations ongoing, EU Summit planned for 12/14-12/15.- Oil – prices stable to higher on back of OPEC/Russia production cuts.

7

Market Returns: Q3-2017

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

• Change in Global QE– Fed announced on 9/21 beginning of balance sheet normalization.– ECB announced on 10/26 reduction of QE program, reducing monthly

purchases from €60B to €30B, beginning 1/1/18 through 9/30/18. No decision on QE post this time period.

• Policy Rate Increases– Fed – raised rates 25bp on 9/21, expected to raise another 25bp on 12/13

FOMC meeting– Bank of Canada – raised rates 25bp in both July and September– Bank of England – raised rates 25bp in November

8

Update on Potential Regime Shift in Interest Rates

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

• Change in amount of Global Quantitative Easing

9

Update on Potential Regime Shift in Interest Rates

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

• Monthly change in Global Quantitative Easing

10

Update on Potential Regime Shift in Interest Rates

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

• Probable impact on growth and markets include– Stronger GDP growth in 2018 and 2019– Higher inflation in ‘18 and ‘19, given economy currently growing above trend and full

employment– Larger budget deficit and increase in UST issuance– Higher interest rates– Higher earnings, particularly for companies who currently pay high tax rates (banks, retailers,

domestic-based manufacturers)

11

US Fiscal Stimulus

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

Source: Morgan Stanley

Net of fees in public asset classes are recorded on an accrual basis.Private markets data is reported on a lagged basis with fees recorded on a cash basis.

(SSB N, p.7; T, F p.8; P p.9; B p.10)

NYC Pension SystemPortfolio Std

Dev - 1 yr.Fiscal YTD

One Year Trailing

Three Year Trailing

BERS 3.3% 4.5% 15.2% 8.2%TRS 3.1% 3.6% 12.5% 7.2%FIRE 2.9% 3.9% 12.9% 7.4%POLICE 2.8% 3.9% 13.2% 7.7%NYCERS 2.8% 3.7% 12.9% 7.4%Public Mkt Equiv 35 (43/22/35 index) 3.4% 12.0% 6.8%Median Fund - TUCS 3.6% 12.8% 7.3%

12

Total NYC Pension Fund Net Performance as of 9/30/2017

Source: State Street

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

13

Asset Allocation 9/30/2017- Growth

Source: State Street

Relative Mix to Adjusted New Policy Weights

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

14

Asset Allocation 9/30/2017– Inflation Protection

Source: State Street

Relative Mix to Adjusted New Policy Weights

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

15

Asset Allocation 9/30/2017- Deflation Protection

Source: State Street

Relative Mix to Adjusted New Policy Weights

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

16

Treasury Duration Actual Vs. Target as of 9/30/17

TRS, 13.5

NYCERS, 9.6

Police, 14.0 Fire, 14.3

BERS, 9.2

TRS, 17.8

NYCERS, 10.9

Police, 17.8 Fire, 17.8

BERS, 10.8

0.0

3.0

6.0

9.0

12.0

15.0

18.0

21.0

0 1 2 3 4 5 6

Actual Target

Source: State Street

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

17

Fiscal Year to Date Return as of 9/30/17 – Total Portfolio

-600

-400

-200

0

200

400

600

FYTD Portfolio FYTD Benchmark FYTD Excess

bps

TRS

NYCERS

Police

Fire

BERS

Basis Points of Excess Return (SSB F p.12; N p.15; T p.16; P p.17; B p.19)

Source: State StreetOFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

18

Fiscal Year to Date as of 9/30/17 Excess Return – Total Portfolio

-600

-400

-200

0

200

400

600

FYTD Total Excess Return FYTD Asset Allocation FYTD Manager Value Added

bps

TRS

NYCERS

Police

Fire

BERS

Source: State Street

Basis Points of Excess Return (SSB F p.12; N p.15; T p.16; P p.17; B p.19)

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

19

Fiscal Year to Date as of 9/30/17 Manager Value Added - Total Portfolio

-600

-400

-200

0

200

400

600

FYTD 3 Year Trailing

TRS

NYCERS

Police

Fire

BERS

bps

Basis Points of Excess Return (SSB F p.13; N p.16; T p.17; P p.18; B p.20)

Source: State Street

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

20

Value Added – Total U.S. Equities

-600

-400

-200

0

200

400

600

FYTD 3 Year Trailing

TRS: 30.28%NYCERS: 31.5%POLICE: 35.07%FIRE: 31.88%BERS: 36.28%

Source: State Street

Weights as of9/30/2017

bps

Basis Points of Excess Return (SSB F p.24; N p.27; T p.28; P p.29; B p.31)

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

21

Value Added – Total Small Cap

-600

-400

-200

0

200

400

600

FYTD 3 Year Trailing

TRS: 1.51%NYCERS: 2.61%POLICE: 2.52%FIRE: 1.7%BERS: 3.2%

Source: State Street

Weights as of9/30/2017

bps

Basis Points of Excess Return (SSB F p.24; N p.27; T p.28; P p.29; B p.31)

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

22

Value Added – Total International Equities

-600

-400

-200

0

200

400

600

FYTD 3 Year Trailing

TRS: 22.78%NYCERS: 22.43%POLICE: 16.16%FIRE: 16.49%BERS: 22.44%

Source: State Street

Weights as of9/30/2017

bps

Basis Points of Excess Return (SSB F p.26; N p.29; T p.30; P p.31; B p.33)

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

23

International Equities Manager Level; Excess in Basis Points

Source: State Street

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

For further details on Manger performance please refer to: Overview Appendix B Public Markets Manager Performance Detail.

Manager Name Investment Mandate Benchmark Strategy TRS NYCERS Police Fire Board of Ed

ACADIAN Developed Small Cap S&P EPAC Small Cap USD NET Active 180 297 335 335 335 Baillie Gifford Developed Growth MSCI EMERGING MARKETS Active 541 429 731 731 731 Sprucegrove MTA Developed Value NYC Developed Value Benchmark Active 244 202

PYRAMIS Developed Small Cap S&P EPAC Small Cap USD NET Active (179) (177) (167) (172) -

Q3 2017 Excess in Bps:

24

Value Added – High Yield

-600

-400

-200

0

200

400

600

FYTD 3 Year Trailing

TRS: 5.08%NYCERS: 4.14%POLICE: 4.57%FIRE: 4.8%BERS: 4.82%

Source: State Street

Weights as of9/30/2017

bps

Basis Points of Excess Return (SSB F p.30; N, T p.33; P, B p.35)

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

25

Value Added – Bank Loans

-600

-400

-200

0

200

400

600

FYTD 3 Year Trailing

TRS: 2.45%NYCERS: 1.76%POLICE: 1.58%FIRE: 1.54%BERS: 2.07%

Source: State Street

Weights as of9/30/2017

bps

Basis Points of Excess Return (SSB F p.31; N, T p.33; B p.35; P p.36)

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

Value Added- Hedge FundsBasis Points of Excess Return

-600

-400

-200

0

200

400

600

FYTD 3 Year Trailing

TRS: 0%

NYCERS: 0.15%

POLICE: 5.21%

FIRE: 5.25%

BERS: 0%

Source: State Street

Weights as of9/30/2017

26

bps

Value Added - Hedge FundsBasis Points of Excess Return (SSB F p.55; N p.56; P p.58)

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

27

Hedge Fund Partnership Snapshot; FYTD 9/30/17 Excess in Basis Points

Source: State Street

Portfolio Fund Name Strategy 3 Month

3 Month HFRI FOF Composite

Index + 1%

3 Month Excess amount

3 month Excess in

Bps NYC FIRE/POLICE CCP Quantitative Fund LP Tactical Trading 11.40% 2.52% 8.88% 888 NYC FIRE/POLICE SRS Partners US, LP - Class B - 1 Long/Short Equity 10.46% 2.52% 7.94% 794 NYC FIRE/POLICE Pharo Gaia Fund, LTD. Tactical Trading 7.29% 2.52% 4.78% 478

NYC FIRE/POLICE AlphaQuest Original LLC Tactical Trading -4.09% 2.52% -6.60% (660) NYC FIRE/POLICE Key Square Partners LP Tactical Trading -1.86% 2.52% -4.38% (438) NYC FIRE/POLICE Altimeter Partners Fund LP Long/Short Equity -1.74% 2.52% -4.26% (426)

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

Fees Compression ChartAsset Weighted Performance and Management Fees

Man

agem

ent F

ee

Perf

orm

ance

Fee

Source: Aksia

28

PRIVATE MARKET DATA

30

Value Added – Private Equity

(600)

(400)

(200)

-

200

400

600

Excess Return Since Inception; The PE Benchmark is the Russell 3000 + 300 bps as of 6/30/17

TRS - 07/08/99

NYCERS - 03/29/99

Police - 03/29/99

Fire - 03/29/99

BERS - 07/20/06

Inception Date

300bps Target

Source: StepStone Group & Hamilton Lane

Basis Points of Cumulative IRR above Public Market Equivalent

bps

The PME Spread is the difference between the IRR and the PME Benchmark.

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

31

Value Added – Opportunistic Fixed Income (OFI)

-600

-400

-200

0

200

400

600

Excess Return Since Inception; PME Benchmark: 50% JP Morgan Global High Yield 50% CS Leveraged Loans as of 9/30/17

TRS - 10/24/2007

NYCERS - 10/24/2007

Police - 10/24/2007

Fire - 10/24/2007

BERS - N/A

Inception Date

300bps Target

Source: State Street

Basis Points of Cumulative IRR above Public Market Equivalent

bps

The PME Spread is the difference between the IRR and the PME Benchmark.

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

32

Value Added – Private Real Estate - Core

-600

-400

-200

0

200

400

600

Excess Return Since Inception; Core = 40% Equities- Russell 3000 /60% BarcAgg as of 6/30/17

TRS - 12/6/2002

NYCERS - 12/6/2002

Police - 12/6/2002

Fire - 12/6/2002

BERS - 12/13/2010

Inception Date

Source: State Street

Basis Points of Cumulative IRR above Public Market Equivalentbp

s

The PME Spread is the difference between the IRR and the PME Benchmark.

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

33

Value Added – Private Real Estate – Non-Core

-800

-600

-400

-200

0

200

400

600

800

Excess Return Since Inception; Non-core = 60% Equities- Russell 3000/40% BarcAgg as of 6/30/17

TRS - 12/6/2002

NYCERS - 12/6/2002

Police - 12/6/2002

Fire - 12/6/2002

BERS - 12/13/2010

Inception Date

Source: State Street

Basis Points of Cumulative IRR above Public Market Equivalentbp

s

The PME Spread is the difference between the IRR and the PME Benchmark.

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

34

Value Added - Infrastructure

-900

-700

-500

-300

-100

100

300

500

700

900

Excess Return Since Inception; PME Benchmark: 50% R3000 & 50% Barclays Agg. as of 6/30/17

TRS - 11/19/2013

NYCERS - 11/19/2013

Police - 11/19/2013

Fire - 11/19/2013

BERS - 11/19/2013

Inception Date

Source: StepStone Group

Basis Points of Cumulative IRR above Public Market Equivalentbp

s

The PME Spread is the difference between the IRR and the PME Benchmark.

OFFICE OF NEW YORK CITY COMPTROLLER SCOTT M. STRINGER | Bureau of Asset Management

QUESTIONS?